Fresh party of players I created a game world for are learning very quickly that "Casual D&D" at the local brewery is a lot different than what many veteran players might expect out of a serious campaign. I'm always one to pull punches when I shouldn't, and so I plan to go into the campaign clear about the stakes of the world, how easy a misstep can turn into a player death, and how the best roleplay experiences occur when there's genuine stakes. This has all been explained to the party and was agreed upon beforehand.

Session 1: Players arrive individually to a large city and are immediately processed (person asks them if they have any papers, where they're from, those things). Each of them were pulled aside for one reason or another and are lead to an empty watchtower. But wait, it's actually a kill room. One of the guards (a PC) refuses and attacks his colleagues instead, the room is covered in blood, it's a good time.

Players then proceed to leave the room and begin talking about what they experienced, and what happens next. Eventually they're approached by another small party of guards, joined by two other "problem" individuals. Players explain to a guard that the guard inside the watchtower (that they killed) was killed. One guard goes back to his sergeant, another goes into the watchtower to investigate.

The session ends with the players (with the two other people they just met who were also about to be murdered) running alongside the wall and attempting to escape from the city guards around them. As a large party with limited options for speed (all level 1), they get stopped by guards both on the wall, and below it. They got off by now getting escorted by one of the guards (as well as the aforementioned guard PC) to the local holding cells (where they'd likely be processed and detained, if not out-right murdered). For session 2, they plan to "dispose" of the bonus guard and flee through the sewer grate.

TL;DR - Players survived a kill room only to drop serious information to guards that are assumed to be "in on the whole kill room thing" and flee in broad daylight.

What can I do at this point to lean into the fact that "your decisions have consequences" without outright TPKing the party?

I can't let them just escape without any kind of penalty, but the players have all decided that the best course of action is to bash another guard's head in before making their escape in, once again, broad-ass daylight.

What can I do that would help the players make pertinent decisions about their well-being at this point without handing it to them, and without carpet-bombing them with arrows?